Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence

Innovations to measures of consumer confidence convey incremental information about economic activity far into the future. Comparing the shapes of impulse responses to confidence innovations in the data with the predictions of a calibrated New Keynesian model, we find little evidence of a strong causal channel from autonomous movements in sentiment to economic outcomes (the "animal spirits" interpretation). Rather, these impulse responses support an alternative hypothesis that the surprise movements in confidence reflect information about future economic prospects (the "information" view). Confidence innovations are best characterized as noisy measures of changes in expected productivity growth over a relatively long horizon.

News Shocks

We implement a new approach for the identification of "news shocks" about future technology. In a VAR featuring a measure of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to technology innovations that best explains future variation in technology. In the data, news shocks account for the bulk of low frequency variation in technology. News shocks are positively correlated with consumption, stock price, and consumer confidence innovations, and negatively correlated with inflation innovations. The disinflationary nature of news shocks is consistent with the implications of sensibly modified versions of a New Keynesian model.

The lead-lag relation between the stock and the bond markets

I examine the relative informational efficiency of bonds and the underlying stocks through the lead-lag relation between their daily returns. I find that stock returns lead the returns of high yield bonds but not those of investment grade bonds, which indicates that the stock market is relatively more informational efficient than the bond market. The findings imply trading opportunities for the bonds that are highly sensitive to the release of new information. I also find that stocks detect impending defaults earlier than bonds, which implies that bond holders may have enough time to protect their capital

Random solids and random solidification: What can be learned by exploring systems obeying permanent random constraints?

In many interesting physical settings, such as the vulcanization of rubber, the introduction of permanent random constraints between the constituents of a homogeneous fluid can cause a phase transition to a random solid state. In this random solid state, particles are permanently but randomly localized in space, and a rigidity to shear deformations emerges. Owing to the permanence of the random constraints, this phase transition is an equilibrium transition, which confers on it a simplicity (at least relative to the conventional glass transition) in the sense that it is amenable to established techniques of equilibrium statistical mechanics. In this Paper I shall review recent developments in the theory of random solidification for systems obeying permanent random constraints, with the aim of bringing to the fore the similarities and differences between such systems and those exhibiting the conventional glass transition. I shall also report new results, obtained in collaboration with Weiqun Peng, on equilibrium correlations and susceptibilities that signal the approach of the random solidification transition, discussing the physical interpretation and values of these quantities both at the Gaussian level of approximation and, via a renormalization-group approach, beyond.Comment: Paper presented at the "Unifying Concepts in Glass Physics" workshop, International Centre for Theoretical Physics, Trieste, Italy (September 15-18, 1999

Bulk and Interfacial Shear Thinning of Immiscible Polymers

Nonequilibrium molecular dynamics simulations are used to study the shear thinning behavior of immiscible symmetric polymer blends. The phase separated polymers are subjected to a simple shear flow imposed by moving a wall parallel to the fluid-fluid interface. The viscosity begins to shear thin at much lower rates in the bulk than at the interface. The entire shear rate dependence of the interfacial viscosity is consistent with a shorter effective chain length $s^*$ that also describes the width of the interface. This $s^*$ is independent of chain length $N$ and is a function only of the degree of immiscibility of the two polymers. Changes in polymer conformation are studied as a function of position and shear rate.Shear thinning correlates more closely with a decrease in the component of the radius of gyration along the velocity gradient than with elongation along the flow. At the interface, this contraction of chains is independent of $N$ and consistent with the bulk behavior for chains of length $s^*$. The distribution of conformational changes along chains is also studied. Central regions begin to stretch at a shear rate that decreases with increasing $N$, while shear induced changes at the ends of chains are independent of $N$.Comment: 8 pages, 8 figure

Statistical mechanics of permanent random atomic and molecular networks: Structure and heterogeneity of the amorphous solid state

Under sufficient permanent random covalent bonding, a fluid of atoms or small molecules is transformed into an amorphous solid network. Being amorphous, local structural properties in such networks vary across the sample. A natural order parameter, resulting from a statistical-mechanical approach, captures information concerning this heterogeneity via a certain joint probability distribution. This joint probability distribution describes the variations in the positional and orientational localization of the particles, reflecting the random environments experienced by them, as well as further information characterizing the thermal motion of particles. A complete solution, valid in the vicinity of the amorphous solidification transition, is constructed essentially analytically for the amorphous solid order parameter, in the context of the random network model and approach introduced by Goldbart and Zippelius [Europhys. Lett. 27, 599 (1994)]. Knowledge of this order parameter allows us to draw certain conclusions about the stucture and heterogeneity of randomly covalently bonded atomic or molecular network solids in the vicinity of the amorphous solidification transition. Inter alia, the positional aspects of particle localization are established to have precisely the structure obtained perviously in the context of vulcanized media, and results are found for the analogue of the spin glass order parameter describing the orientational freezing of the bonds between particles.Comment: 31 pages, 5 figure

The scaling limit of the incipient infinite cluster in high-dimensional percolation. II. Integrated super-Brownian excursion

For independent nearest-neighbour bond percolation on Z^d with d >> 6, we prove that the incipient infinite cluster's two-point function and three-point function converge to those of integrated super-Brownian excursion (ISE) in the scaling limit. The proof is based on an extension of the new expansion for percolation derived in a previous paper, and involves treating the magnetic field as a complex variable. A special case of our result for the two-point function implies that the probability that the cluster of the origin consists of n sites, at the critical point, is given by a multiple of n^{-3/2}, plus an error term of order n^{-3/2-\epsilon} with \epsilon >0. This is a strong statement that the critical exponent delta is given by delta =2.Comment: 56 pages, 3 Postscript figures, in AMS-LaTeX, with graphicx, epic, and xr package

Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models *

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/101814/1/1468-2354.t01-1-00016.pd